convergenceDFM: Convergence and Dynamic Factor Models

Tests convergence in macro-financial panels combining Dynamic Factor Models (DFM) and mean-reverting Ornstein-Uhlenbeck (OU) processes. Provides: (i) static/approximate DFMs for large panels with VAR/VECM stability checks, Portmanteau tests and rolling out-of-sample R^2, following Stock and Watson (2002) <doi:10.1198/073500102317351921> and the Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000) <doi:10.1162/003465300559037>; (ii) cointegration analysis à la Johansen (1988) <doi:10.1016/0165-1889(88)90041-3>; (iii) OU-based convergence and half-life summaries grounded in Uhlenbeck and Ornstein (1930) <doi:10.1103/PhysRev.36.823> and Vasicek (1977) <doi:10.1016/0304-405X(77)90016-2>; (iv) robust inference via 'sandwich' HC/HAC estimators (Zeileis (2004) <doi:10.18637/jss.v011.i10>) and regression diagnostics ('lmtest'); and (v) optional PLS-based factor preselection (Mevik and Wehrens (2007) <doi:10.18637/jss.v018.i02>). Functions emphasize reproducibility and clear, publication-ready summaries.

Version: 0.1.4
Depends: R (≥ 4.1)
Imports: stats, methods, pls, vars, urca, readxl, dplyr, tidyr, stringr, magrittr, zoo
Suggests: testthat (≥ 3.0.0), knitr, rmarkdown, cmdstanr, posterior, rstan
Published: 2025-12-01
DOI: 10.32614/CRAN.package.convergenceDFM (may not be active yet)
Author: José Mauricio Gómez Julián [aut, cre]
Maintainer: José Mauricio Gómez Julián <isadorenabi at pm.me>
License: GPL-3
NeedsCompilation: no
Additional_repositories: https://mc-stan.org/r-packages/
Materials: README, NEWS
CRAN checks: convergenceDFM results

Documentation:

Reference manual: convergenceDFM.html , convergenceDFM.pdf
Vignettes: Introduction to Convergence Analysis with convergenceDFM (source, R code)

Downloads:

Package source: convergenceDFM_0.1.4.tar.gz
Windows binaries: r-devel: not available, r-release: not available, r-oldrel: convergenceDFM_0.1.4.zip
macOS binaries: r-release (arm64): convergenceDFM_0.1.4.tgz, r-oldrel (arm64): convergenceDFM_0.1.4.tgz, r-release (x86_64): convergenceDFM_0.1.4.tgz, r-oldrel (x86_64): convergenceDFM_0.1.4.tgz

Linking:

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